Magento 2 You can set additional data in payment using setAdditionalData( ) method defined under Quote Module Payment.php class.
Magento\Quote\Model\Quote\Payment class used for set payment related data from quote to order. This class is used for set payment method, additional data, and other payment-related data to Order.

Hi Rakesh,
The idea with plugin definitely a good one, but we should remember to add as a first line of every such plugin an if statement veryfing that this plugin should be executed only for our own method, otherwise it will be executed for all payment methods.
The Adapter class from MagentoPayment module provides an assign() method where we can assign a specific to our payment method observer and execute it only in scope of the payment method.